Peter Forsyth

University of Waterloo - Cheriton School of Computer Science

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

5

DOWNLOADS

461

SSRN CITATIONS
Rank 28,772

SSRN RANKINGS

Top 28,772

in Total Papers Citations

22

CROSSREF CITATIONS

8

Scholarly Papers (5)

1.

Continuous Time Mean-Variance Optimal Portfolio Allocation Under Jump Diffusion: An Numerical Impulse Control Approach

Number of pages: 37 Posted: 03 Apr 2013 Last Revised: 17 Oct 2013
Duy-Minh Dang and Peter Forsyth
University of Queensland - School of Mathematics and Physics and University of Waterloo - Cheriton School of Computer Science
Downloads 169 (209,043)
Citation 4

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mean-variance, impulse control, HJB equation, finite difference, viscosity solution

2.

Better than Pre-Commitment Mean-Variance Portfolio Allocation Strategies: A Semi-Self-Financing Hamilton-Jacobi-Bellman Equation Approach

Number of pages: 42 Posted: 18 Dec 2013 Last Revised: 04 Jul 2015
Duy-Minh Dang and Peter Forsyth
University of Queensland - School of Mathematics and Physics and University of Waterloo - Cheriton School of Computer Science
Downloads 154 (225,992)
Citation 13

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mean-variance, HJB equation, finite difference, viscosity solution, self-financing, continuous re-balancing, discrete re-balancing portfolio allocation

3.

The 4 percent Strategy Revisited: A Pre-Commitment Optimal Mean-Variance Approach to Wealth Management

Number of pages: 29 Posted: 01 Mar 2015 Last Revised: 06 Sep 2017
Duy-Minh Dang, Peter Forsyth and Ken Vetzal
University of Queensland - School of Mathematics and Physics, University of Waterloo - Cheriton School of Computer Science and University of Waterloo - School of Accounting & Finance
Downloads 76 (368,696)
Citation 4

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multi-period mean-variance optimal, endowment, pension de-accumulation

4.

Convergence of the Embedded Mean-Variance Optimal Points with Discrete Sampling

Number of pages: 28 Posted: 31 Oct 2013 Last Revised: 06 Sep 2017
Duy-Minh Dang, Peter Forsyth and Yuying Li
University of Queensland - School of Mathematics and Physics, University of Waterloo - Cheriton School of Computer Science and University of Waterloo
Downloads 62 (411,257)
Citation 1

Abstract:

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mean-variance, scalarization optimization, embedding, Pareto optimal, asset-liability, Hamilton-Jacobi-Bellman (HJB) equation, jump diffusion

5.

Numerical Solution of the Hamilton – Jacobi – Bellman Formulation for Continuous-Time Mean – Variance Asset Allocation Under Stochastic Volatility

Journal of Computational Finance, Forthcoming
Number of pages: 38 Posted: 04 Aug 2016
K Ma and Peter Forsyth
University of Waterloo and University of Waterloo - Cheriton School of Computer Science
Downloads 0 (773,300)
Citation 4
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Abstract:

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mean–variance, embedding, Pareto optimal, Hamilton–Jacobi–Bellman (HJB) equation, monotone scheme, wide stencil